Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0114
Annualized Std Dev 0.0814
Annualized Sharpe (Rf=0%) -0.1405

Row

Daily Return Statistics

Close
Observations 3545.0000
NAs 1.0000
Minimum -0.0275
Quartile 1 -0.0029
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0028
Maximum 0.0292
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0001
Variance 0.0000
Stdev 0.0051
Skewness -0.0019
Kurtosis 2.6153

Downside Risk

Close
Semi Deviation 0.0036
Gain Deviation 0.0034
Loss Deviation 0.0035
Downside Deviation (MAR=210%) 0.0097
Downside Deviation (Rf=0%) 0.0037
Downside Deviation (0%) 0.0037
Maximum Drawdown 0.3617
Historical VaR (95%) -0.0080
Historical ES (95%) -0.0117
Modified VaR (95%) -0.0082
Modified ES (95%) -0.0120
From Trough To Depth Length To Trough Recovery
2008-03-18 2020-03-19 NA -0.3617 3276 3023 NA
2007-11-27 2007-12-17 2008-02-28 -0.0515 64 15 49
2007-05-01 2007-06-20 2007-06-29 -0.0266 43 36 7
2007-07-25 2007-08-16 2007-09-06 -0.0177 31 17 14
2007-10-01 2007-10-08 2007-10-18 -0.0131 14 6 8

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA -0.2 0.2 -0.2 -0.1 0.7 0 0.2 -0.1 -0.5 -0.6 -0.3 -0.7
2008 -0.3 -0.2 -1.1 -1.2 0.4 0.1 -0.3 -0.2 -0.3 -1.1 -0.8 -0.5 -5.4
2009 -0.7 -0.5 -0.2 0.2 0.2 0.7 1.1 -0.7 -0.6 -0.6 0.5 0 -0.5
2010 0.4 -0.5 0.5 0.2 0.1 1.8 0 0.8 0.8 -0.1 0.7 0.9 5.6
2011 0.9 -0.1 0.1 0.2 -0.3 0.2 -0.6 -0.4 -1.1 -1.1 0.2 0.2 -1.9
2012 0.4 0 0.3 0 0.3 1.3 -0.6 0.6 0.2 -0.1 0.1 0 2.3
2013 0 -0.3 0.3 0 -0.3 0.2 -0.9 -0.1 0 -0.6 0.1 -0.1 -1.7
2014 -0.3 0.7 0 0 0.2 0 0.1 -0.3 0.1 -0.8 0.4 -0.3 -0.2
2015 -0.2 0 0.2 -0.4 -0.5 -0.9 0.4 0.4 0 0.4 0.4 -0.5 -0.6
2016 0.7 -0.1 0 0.7 0.5 0.3 -0.3 0.4 0 0.6 0.5 0.3 3.9
2017 -0.1 -0.6 0 0 -0.2 0 -0.2 -0.2 0.1 -0.3 0.1 0.3 -0.9
2018 0.5 0.4 0.1 -0.7 -0.3 0.8 -0.1 -0.5 -0.2 0.8 -0.3 0.3 0.9
2019 0 -0.3 0 -0.1 0.4 -0.7 0.2 -0.2 0.2 0 0.3 0.5 0.4
2020 0.4 0.5 -0.9 -0.1 0.6 0.3 -0.4 -0.1 0.2 -0.2 0.9 -0.3 0.8
2021 -0.5 0 -0.1 NA NA NA NA NA NA NA NA NA -0.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-02-20  25.0 SPY    146.  0.0021   0.0181   0.0225   0.043     0.131    0.263    0.317 GLD    65.3 -0.0158  -0.0055
2 2007-02-21  25.0 SPY    146. -0.0004   0.0091   0.0253   0.0399    0.133    0.267    0.342 GLD    67.3  0.0302   0.0219
3 2007-02-22  24.9 SPY    146. -0.0008   0.0018   0.0215   0.0388    0.135    0.270    0.319 GLD    67.2 -0.0019   0.0118
4 2007-02-23  25.0 SPY    145. -0.0039  -0.0034   0.0094   0.0342    0.124    0.268    0.342 GLD    67.7  0.0085   0.0197
5 2007-02-26  25.0 SPY    145. -0.0009  -0.0038   0.0205   0.0322    0.125    0.269    0.324 GLD    68.1  0.0056   0.0262
6 2007-02-27  25.2 SPY    140. -0.0391  -0.0448  -0.0187  -0.0101    0.078    0.214    0.252 GLD    65.4 -0.0395   0.0015
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart